Arbitrage with exchange-traded funds: a case of E1VFVN30 based on intraday data

Abstract

This paper explores the arbitrage opportunity of exchange-traded fund (ETF) specifically on Vietnamese stock market. The intraday data of the first local ETF, VNMVN30 on HOSE – Hochiminh stock market has been tracked and analyzed for one month. The findings reveal that the VNMVN30 ETF has a small deviation in price. This deviation is persistent with low change level between one-minute intervals. This outcome contributes to current literature of arbitrage opportunities in emerging markets. Furthermore, as a practical contribution, the investors in ETF investment will significantly benefit as this paper suggests a pattern of VNMVN30 ETF in a day and estimates transaction costs related to arbitrage strategies of E1 VFN30.